Constructing the true art market index: A novel 2-step hedonic approach and its application to the German art market
Download full text from publisher
References listed on IDEAS
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Andrew Worthington & Helen Higgs, 2006. "A Note on Financial Risk, Return and Asset Pricing in Australian Modern and Contemporary Art," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 30(1), pages 73-84, March.
- Andrew Ang & Joseph Chen & Yuhang Xing, 2006.
Review of Financial Studies,
Society for Financial Studies, vol. 19(4), pages 1191-1239.
- Baumol, William J, 1986.
"Unnatural Value: Or Art Investment as Floating Crap Game,"
American Economic Review,
American Economic Association, vol. 76(2), pages 10-14, May.
- Baumol, William J., 1985. "Unnatural Value: Or Art Investment as Floating Crap Game," Working Papers 85-25, C.V. Starr Center for Applied Economics, New York University.
- Chanel, Olivier, 1995. "Is art market behaviour predictable?," European Economic Review, Elsevier, vol. 39(3-4), pages 519-527, April.
- Douglas Hodgson & Keith Vorkink, 2004. "Asset pricing theory and the valuation of Canadian paintings," Canadian Journal of Economics, Canadian Economics Association, vol. 37(3), pages 629-655, August.
- Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Jianping Mei & Michael Moses, 2002. "Art as an Investment and the Underperformance of Masterpieces," American Economic Review, American Economic Association, vol. 92(5), pages 1656-1668, December.
- Helen Higgs & Andrew Worthington, 2005.
"Financial Returns and Price Determinants in the Australian Art Market, 1973-2003,"
The Economic Record,
The Economic Society of Australia, vol. 81(253), pages 113-123, June.
- Helen Higgs & Andrew C Worthington, 2004. "Financial returns and price determinants in the Australian art market, 1973-2003," School of Economics and Finance Discussion Papers and Working Papers Series 184, School of Economics and Finance, Queensland University of Technology.
- Luc Renneboog, 2002.
"The monetary appreciation of paintings: from realism to Magritte,"
Cambridge Journal of Economics,
Oxford University Press, vol. 26(3), pages 331-358, May.
- Renneboog, L.D.R. & van Houte, T., 1999. "The Monetary Appreciation of Paintings : From Realism to Magritte," Discussion Paper 1999-62, Tilburg University, Center for Economic Research.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Goetzmann, William N, 1993. "Accounting for Taste: Art and the Financial Markets over Three Centuries," American Economic Review, American Economic Association, vol. 83(5), pages 1370-1376, December.
- Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Abstract: Capital Market Equilibrium in a Mean-Lower Partial Moment Framework," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 635-635, November.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Marilena Biey & Roberto Zanola, 2005.
"The Market for Picasso Prints: A Hybrid Model Approach,"
Journal of Cultural Economics,
Springer;The Association for Cultural Economics International, vol. 29(2), pages 127-136, May.
- Locatelli-Biey, Marilena & Zanola, Roberto, 2003. "The market for Picasso prints: an hybrid model approach," POLIS Working Papers 34, Institute of Public Policy and Public Choice - POLIS.
- Andrew C. Worthington & Helen Higgs, 2004. "Art as an investment: risk, return and portfolio diversification in major painting markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 44(2), pages 257-271.
- Kahneman, Daniel & Tversky, Amos, 1979.
"Prospect Theory: An Analysis of Decision under Risk,"
Econometric Society, vol. 47(2), pages 263-291, March.
- Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
- Chanel, O. & Gerard, L.A. & Ginsburgh, V., 1992.
"The Relevence of Hedonic Price Indices the Case of Paintings,"
92a19, Universite Aix-Marseille III.
- Olivier Chanel & Louis-André Gérard-Varet & Victor Ginsburgh, 1996. "The relevance of hedonic price indices: the case of paintings," ULB Institutional Repository 2013/1715, ULB -- Universite Libre de Bruxelles.
- Corinna Czujack, 1997. "Picasso Paintings at Auction, 1963–1994," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 21(3), pages 229-247, September.
- Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Capital market equilibrium in a mean-lower partial moment framework," Journal of Financial Economics, Elsevier, vol. 5(2), pages 189-200, November.
- Pesando, James E, 1993. "Art as an Investment: The Market for Modern Prints," American Economic Review, American Economic Association, vol. 83(5), pages 1075-1089, December.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kompa Krzysztof & Witkowska Dorota, 2014. "Construction Of Hedonic Price Index For The “Most Liquid” Polish Painters," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 76-100, December.
- repec:kap:iaecre:v:20:y:2014:i:3:p:281-293 is not listed on IDEAS
- Chanont Banternghansa & Kathryn Graddy, 2011.
"The impact of the Droit de Suite in the UK: an empirical analysis,"
Journal of Cultural Economics,
Springer;The Association for Cultural Economics International, vol. 35(2), pages 81-100, May.
- Banternghansa, Chanont & Graddy, Kathryn, 2009. "The Impact of the Droit de Suite in the UK: An Empirical Analysis," CEPR Discussion Papers 7136, C.E.P.R. Discussion Papers.
- repec:ris:apltrx:0324 is not listed on IDEAS
- Dorota Witkowska, 2014. "An Application of Hedonic Regression to Evaluate Prices of Polish Paintings," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(3), pages 281-293, August.
More about this item
KeywordsOptimal Asset Allocation; Diversification; Art Investments; Hedonic Model; Downside Risk;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:cfswop:200811. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics). General contact details of provider: http://edirc.repec.org/data/ifkcfde.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.